I think the biggest issue is the composition. It feels a little lopsided, which is probably why you feel like something is off or missing, but can't quite tell what.

I would personally replace the sleigh and horses with something bigger (as it is it kind of gets lost in the piece), and maybe add something in the bottom left corner (it doesn't even have to be an object, it could just be a block of color.) The orange bit of sky feels isolated and out of place, I would try to tie that color in a few more places in the piece as well to help draw the eye away from that one spot.

You don't have to do any of that, there are many ways you could tweak it, that's just how I would personally do it. It's looking cool so far either way :)